Aircraft: DHC8
Phase of flight: Initial Climb
Anomaly: Aircraft Equipment Problem Critical

After taxiing to the runway; we were cleared for takeoff. We proceeded with a normal takeoff and contacted Departure Control when instructed by the Tower. Upon contacting departure at approximately 600 FT MSL; the Departure Controller instructed us to turn RIGHT to a heading of 290. On this heading of 290; we reached our 'Acceleration Height' and began to commence the CLIMB checklist. As soon as my First Officer turned our Bleed System to its proper operating condition; very warm air began coming out of the vents. I asked the First Officer to turn down the heat; and he stated that the heat was already at the COLD position. I verified this setting; as we were given more departure instructions from Departure Control. Right then; the Flight Attendant called up to the flight deck on the Normal Call phone line; and stated that it was 'very warm' in the cabin and asked if we could please turn down the heat. We stated that we were trying to fix the problem; and would get back to her when we had a chance to; since we were still trying to climb as instructed while figuring out the heat issue. At this point; we are at approximately 3;500 FT MSL; only a few minutes after our departure. Realizing there was a potential problem with our Bleed Air System (due to the fact that I could not seem to rectify the problem through manipulation of the temperature control settings); I told the First Officer that this was abnormal for warm air to be blowing out in a full COLD configuration. Just then (approximately 15-20 seconds after the end of the initial call from the Flight Attendant); the Emergency Call button lit up; and I answered. The Flight Attendant stated that the cabin had become extremely hot all of a sudden; and that there was a haze developing in the back from approximately Rows 7 all the way back to the flight attendant galley; and that there was a 'burning smell' in the cabin as well. She also stated that passengers were feeling the sidewalls of the cabin saying that the walls were very hot; as well as their overhead vents. She then stated that the haze appeared to be turning into a smoky haze. I informed her that we will be immediately returning and to prepare the cabin for an emergency landing. At this point; we were only about 4 miles from the airport; as we had turned into a 50+ knot headwind on departure. I immediately informed Departure that we were declaring an emergency; and that we needed to return to the airport; as well as the nature of the event. The Departure Controller gave us a heading that pointed us directly back to the airport (now about 5 miles away) and gave us descent instructions to 3;000 FT MSL. While making this initial turn and descent; I had my First Officer pull out the Emergency and Abnormal Checklist; and we ran the appropriate checklist for aircraft smoke in the cabin. We were asked if we had the airport in sight; and we confirmed that we did have the airport in sight. We were cleared for a visual approach and told to contact the Tower. While on this now 4 mile right downwind; we contacted the Flight Attendant and she stated that the cabin was prepared for landing; and she also stated that the smoky haze had dissipated shortly after she heard us turn the Bleed System off; and that the cabin temperature had also decreased. I asked her if there would be any need to evacuate on the tarmac away from the gate; and she stated that there would be no reason to; now that the smoke and temperature issues were gone. The First Officer and I ran the landing checklist and turned onto a 3 mile final. After configuring the aircraft; we landed and were greeted with multiple fire trucks and emergency vehicles that were waiting for our arrival on the side of the runway. Tower asked if we would need any further assistance; and I stated that we needed no further assistance other than an expedited taxi into the gate. The Controller handed us off to Ground Control; who gave us taxi instructions into the gate. One fire truck anda couple of emergency vehicles followed us into the gate. As we were taxiing in; we re-confirmed with the Flight Attendant that the cabin was still clear of smoke and heat. After being marshaled into the gate; we shut down the engines and had the passengers exit through the Main Cabin Door into the terminal. Maintenance was waiting for the aircraft; and immediately began checking the engines and exterior fuselage for any additional problems as we were deplaning the passengers. The entire segment from takeoff to touchdown was 8 (eight) minutes. DHC8 Captain experiences uncontrollable heat coming from the vents in the cockpit and cabin when the bleeds are turned on after takeoff. An emergency is declared and the bleeds are turned off per the QRH prior to a visual approach and landing.